Weekly Crypto Derivatives Review of Yields, Funding, and Volatility Skew

Summary

This weekly report summarizes BTC and ETH derivatives conditions across futures yields, perpetual funding, implied volatility, volatility surfaces, and put-call skew. It describes positive implied spot yields in both assets, quieter funding, and declining at-the-money volatility, with a stronger decline in ETH that narrows its gap with BTC. The report also notes that BTC short-tenor options showed less expensive downside volatility, while ETH’s volatility surface cooled broadly across tenors and deltas.

The skew discussion says ETH options had carried a more pronounced bias toward out-of-the-money puts than BTC for much of the period, before moving closer to neutral. The analysis uses SABR-calibrated volatility measures and defines its z-score against the previous 30 days of hourly implied-volatility observations for matching delta and tenor. It is a dated snapshot of market conditions, not a forecast or trading strategy; the text supplies no underlying chart values or evidence about subsequent performance.

Key ideas

• BTC and ETH futures implied spot yields were positive during the reported week.
• At-the-money implied volatility declined in both assets, with a larger decrease in ETH.
• The report describes a broad cooling in ETH’s implied volatility surface.
• ETH options showed stronger out-of-the-money put skew than BTC before moving toward a more neutral smile.
• The z-score compares volatility with recent hourly observations at matching delta and tenor.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.